I understand that importing to media library adds a new watch folder however... it doesn't move the actual files into a consolidated winamp media folder. I prefer to have the actual mp3s consolidated and organised and I'd prefer not to have to do this manually.

For example...
In Itunes if you import a folder of mp3s / an mp3 / a folder with subfolders full of mp3s, it will copy them to a colidated directory and folderise neatly by artist an album. This import also includes artwork. Is there anyway to set Winamp up to do this? I don't want to have the actual files spread around my computer in different places. I want them all in one place.

I'd like the same thing to happen when ripping from a CD.

Any advice would be great. Perhaps I'm thinking about this in the wrong way.

you can tell Winamp which folder to use (generally it should be defaulting to the OS music folder) though you may need to check the config option for the action you're wanting to run to ensure it's pointing at the correct location for the first time.

otherwise there's no 'auto-magic' iTunes method of doing things as the Winamp idea is to trust / allow you to do whatever you want with your media rather than being forced into a certain way i.e. with iTunes.